If you are interested in my supervision, you can find below details about my research interests, expectations and examples of previous dissertation topics I supervised.
I can only supervise a limited number of students.
If you are interested in my guidance for an empirical project, you can still select me as a potential supervisor, but the allocation will be random. Due to the high volume of student supervision requests, I will not be able to agree to supervise you unless it's a perfect match.
If you're interested in my supervision for a theoretical project, please feel free to contact me. We can discuss your research interests and potential dissertation topics. Due to the low number of supervisors and students interested in theoretical projects, I will consider supervising your project if your research proposal aligns well.
I am a macroeconomist with a strong interest in the following research areas:
Economic Growth, Real Business Cycles, and Macroeconomic Policies
Macro-Finance: Banking and Financial Markets
The Impact of Climate Change on the Macroeconomy
Asset Price Bubbles and Financial Crises
My research is primarily theoretical, but I have recently begun working on some empirical projects. I mainly focus on the Bayesian estimation of DSGE models. As a result, my experience with empirical methods is not as extensive as that of other supervisors.
I am open to supervising both empirical and theoretical projects. However, please be aware that theoretical projects can be quite demanding. If you are an undergraduate or MSc student without a strong theoretical background, I strongly recommend pursuing an empirical project. Nevertheless, you might still be able to develop relatively simple theoretical models. If you have a good idea, feel free to contact me so we can discuss it.
If you have a solid theoretical background, such as knowledge of Real Business Cycles, or even New-Keynesian models, you can consider developing a model and possibly estimating it, if feasible. These projects could involve 'simple' intermediation models or models incorporating monetary or fiscal policies.
Completing a dissertation is a significant part of your education, and I expect you to put in the necessary effort. If you work diligently and submit a strong dissertation, you will earn a good grade. If you do not, your grade will reflect that. It is as simple as that, and I want to make sure you understand this clearly.
If you are still interested in my supervision or need further information, feel free to contact me and let us discuss!
DSGE Modelling:
Are you interested in economic modelling? There are numerous fascinating extensions you can implement in the standard RBC model, leading to compelling research projects. If you are interested in macro-finance, you could, for example, incorporate banks into the model to explore intermediation effects or introduce borrowing constraints for firms to study their impact on productivity and production. You might also add a stock market to analyze firms' dividend policies. In the context of the labour market, you could introduce search frictions and wage rigidities to assess their effects on RBC simulations. Additionally, heterogeneous firms or entrepreneurs with different levels of productivity, or different production methods, could provide further insights into aggregate production over the business cycle. These are just a few examples, but feel free to use your imagination to develop even more intriguing ideas!
Asset Price Bubbles:
Asset price bubbles are a compelling area of study, but they present significant challenges both empirically and theoretically. Limited empirical methods can be applied, but they usually offer the potential for strong research projects. Theoretical approaches are more demanding due to the strict constraints required when developing a model. If you are interested in this topic, I recommend focusing on an empirical project unless you have a clear and feasible strategy for incorporating it into a DSGE model.
Macroeconomic Experiments:
Do you have a (macro)economic experiment in mind? Is there a model from a paper that could be simplified and turned into a classroom experiment? For example, you might explore how people form expectations about inflation. If feasible—considering logistics, implementation, and potential ethical approval—this could be conducted during an EC201 lecture or through its Moodle page. While I have no prior experience in supervising or conducting such research, I am eager to supervise this type of project. Please note that although this could lead to a highly interesting and valuable research project, it carries significant risks due to potential challenges such as design, feasibility and ethical approval. Nonetheless, if you have a well-developed idea, I would be happy to discuss it further.
Quantitative Easing and the Possibility of Stock Market and House Price Bubbles: Evidence from the UK
This paper investigates whether quantitative easing contributes to bubble formation in stock and housing markets in the United Kingdom. The Generalised Supremum Augmented Dickey Fuller test is applied to identify bubbles within the data. Subsequently, limited dependent variable models are applied to control for underlying dynamics in identified periods of exuberance. It is established that both stock and housing markets show signs of bubbles, but only the latter shows significant signs of recent exuberance. Furthermore, a relation between quantitative easing and bubble formation can be confirmed.
Empirical analysis
The Heterogeneous Impact of Financial Literacy and Income on Households Investment Behaviour under Monetary Policy
This paper uses data from Survey of Consumer Finance (SCF) and focuses on the heterogeneous impact of financial literacy and income on household investment behaviour. Two important topics, monetary policy and household investments, interact in this study. Impacts on household participation and percentage contribution in risky assets are analysed, within and across years. Both incentives to save from monetary policy and the idea of “reaching for yield” are accounted for the final results. This paper concludes that individuals with the lowest financial literacy and income are the least sensitive in response to monetary policy changes. Among them, those with high percentage invested in risky assets are likely to suffer the most in market downturns. Wealth and inequality can be worsened in the economy. Therefore, this paper points out the importance of improving financial literacy level and suggests implementing policies alongside monetary changes.
Empirical analysis
Liquidity Risk and its Macro-Financial Vulnerabilities in the UK Banking Sector
Liquidity risk in banking arises due to sudden withdrawal of short-term deposits which risks leading to a bank run. This phenomenon gained prominence after the 2008 recession paving way for the prudential monetary policy Basel 3 to be implemented worldwide. This research scrutinizes the UK banking sector from the period of 2007 to 2021 in determining the macro-financial vulnerabilities of liquidity risk. “The Big Four” banks, namely HSBC, Lloyds, Barclays, and Natwest are under the purview of analysis which looks at linking liquidity to banking behaviour and economic performance to identify the nature of relationships. The backdrop of this research is to understand why there is a difference in liquidity ratios of the banks under analysis despite active prudential measures and what determinants can be linked to liquidity aiding towards further evaluation to avoid a liquidity gap. This research indicates that the banks have cumulatively focused on enhancing their banking performance at the cost of higher liquidity vulnerability, but differ in approach with relation to liquidity and economic performance.
Empirical analysis
An analysis of Bitcoin’s explosive price behaviour as an asset price bubble in 2020/21
The recent widespread media attention surrounding Bitcoin has ignited debates regarding cryptocurrencies and their underlying value. The objective of this paper is to explore the possibility of an asset price bubble in Bitcoin, motivated by these discussions of Bitcoin’s true fundamental value and the explosion of its price in 2020/21. A generalised supremum Augmented Dickey-Fuller suggested by Phillips, Shi and Yu (2015) is used to date-stamp bubble regimes. Further analysis is then conducted, tying these exuberant periods to events that may have caused the origination of the asset price bubble. The paper finds that Bitcoin shows indications of entering multiple bubble periods throughout 2020 and 2021.
Empirical analysis
Bubble, Bubble Where Are You? An Empirical Investigation of House Price Bubbles in Regional Norway
This paper investigates whether the Norwegian housing market has experienced bubble-regimes over the past two decades. The Generalised Supremum Augmented Dickey Fuller test is applied to identify explosive behaviour within the data. Subsequently, the BSADF date-stamping strategy proposed by Phillips et al. (2015) is applied to specify the time periods where explosive behaviour is exhibited within the data. This paper establishes the presence of several periods of explosivity for certain cities in the sample. In particular, data for Oslo exhibits multiple boom-bust episodes over the duration of the sample period.
Empirical analysis
Detection of Structural Regimes and Analysis of the Impact of Crude Oil on Airline Stock Performance: Markov Regime-Switching Approach
This paper analyzes structural regimes in crude oil prices and quantifies the regime-dependent effect on airline company stock indices. Using the Markov-switching vector autoregressive (MS-VAR) model, I investigate weekly data of oil prices and a self-created IATA-associated airline stock index spanning from 1993 to 2023. The results indicate that oil prices exhibit two regimes: high volatility (Regime 1) and low volatility (Regime 2). In the first regime, oil prices have a positive impact on airline stock performance, whereas in the latter regime, this effect is negative. Additionally, Regime 1 tends to be more persistent than Regime 2.
Empirical analysis
Is Net-zero a feasible approach? A Theoretical Model of Sustainable Growth & Natural Capital
The aim of this paper is to answer whether net-zero is feasible and whether there is a potential growth trade-off. This paper uses an endogenous growth model to address a question troubling policymakers - whether an economy can achieve sustainable green growth by reallocating resources between carbon-intensive (artificial) capital and bio-fuel-intensive (natural) capital. We model for a general economy but focus on the UK later on. Production uses two reproducible inputs, natural and artificial capital. The accumulation of artificial capital depreciates the natural capital stock through the negative externality of carbon emissions, which private agents fail to internalize. To achieve decarbonization and aid net-zero initiatives, the government uses a carbon tax-subsidy scheme to incentivize firms to substitute artificial for natural capital. The damage caused by production pollution can be mitigated or even partially reversed, thus aiding the net-zero target, though at the cost of lower long-run growth. This trade-off between sustainability and economic growth can explain the world’s underperformance with respect to the net-zero target, but it may be overcome if there is an intervention to improve pollution abatement technologies such that decarbonization is more efficient, and firms may more easily substitute artificial capital for natural capital.
Theoretical analysis
Dissertation selected and presented in the 2023 Caroll Round
Technologies and Labour: A Theoretical Model of Task-based Production in Labour Market with Search Frictions
This paper examines the relationship between automation, task creation, and labour market outcomes by incorporating the task-based approach of Acemoglu and Restrepo into a search and matching model. Our methodology combines theoretical modelling with empirical analysis to provide a nuanced understanding of these dynamics. The results indicate that the overall impact of automation on the labour market is complex and dualistic, depending on the balance between its displacement and productivity effects. Conversely, task creation emerges as a uniformly positive force, mitigating the adverse impacts of automation and promoting labour market health. The findings suggest that fostering innovation and task creation can be effective strategies for benefiting from technological innovation.
Theoretical analysis
Examining the Interactions of Retail and Institutional Investors in a Theoretical Steady State Model
With far greater access to markets given the rise of zero-commission stock trading, retail investors now account for nearly 25% of stock market activity on peak days compared to just 10% in 2019. In fact, retail investors now account for more trading volume than hedge funds and mutual funds combined. Shiller (2000) argues that the stock price trends during the dot-com bubble were driven by euphoria among individual investors. However, since the early 2000s, the profile of the retail investor is changing. The average age has now fallen from 50 to 31 and they have less to invest (most retail investors now have between $1,000 and $5,000 compared to an average of $50,000 in the dot-com era). It is extremely important that we examine the impact of the younger, risk-loving retail investor on the market and how their propensity to gamble will affect the behaviour of institutional investors. This paper designs a model to investigate the interactions and optimal investment decisions of retail and institutional investors. We find that the retail investors employ risky investing strategies while institutional investors prefer diversification of assets. The results support the broader academic literature on the preferences of retail investors and their trading behaviours.
Theoretical analysis
Financial Crisis, Quantitative Easing and Income Inequality: A Theoretical Analysis
This paper develops a two-agent New Keynesian model with financial intermediaries to study the distributional effect of the financial crisis and quantitative easing policy. In our model, there are two different household groups: the unrestricted households, who have full access to financial markets and own financial intermediaries and production firms; and the restricted households, who cannot borrow or lend and behave in a ‘hand-to-mouth’ way. We simulate an asset value shock to see the impact of large-scale government intermediation policy against recession and how income inequality is influenced during this process. We find that access to finance determines how different types of households are affected by the negative shock, the richer become richer and the poorer become poorer. In addition, while both kinds of households benefit from government intervention, the unconventional monetary policy favours the wealthier group, and income inequality is widened after quantitative easing.
Theoretical analysis
Climate Change and Monetary Policy: Assessing Effect of Climate Lending Facility
Climate action to tackle environmental issues has long been called for by policymakers around the world. Central banks have attained considerable prominence as an important contributor in terms of their role in maintaining macroeconomic and financial stability. With scarce literature available about the economic impact of specific climate-oriented policy tools by central banks, however, more theoretical understanding is needed in order for any central bank to consider including them in their "monetary policy toolbox." We provide a theoretical foundation on the effect of the implementation of a climate-oriented monetary policy in the New Keynesian (NK) framework. In particular, I propose a theoretical NK model that allows one to assess a climate-related lending facility – provision of low-cost funds from a central bank to financial institutions that further extend climate-related loans at lower interest rates. To the best of my knowledge, this is the first attempt to explore a climate-related lending facility as a conditioning factor for the dynamic response of the economy in the NK framework.
Theoretical analysis
Financial Shocks with Bank Intermediation
We extend the RBC model of debt and equity financing developed in Jermann and Quadrini (2012) by introducing banks to the model, as well as 'retirement shocks' that impact the probability of bank failure. We explore how the addition of banks impacts the propagation of 'financial shocks' through the use of impulse response functions. We then add retirement shocks to the model and analyse their effects on the economy. We find that the additional frictions resulting from the introduction of banks amplify the expansionary effects of a positive financial shock and the contractionary effects of a negative shock. We also find that both financial and retirement shocks a¤ect the ability of firms to borrow, but through different channels. Our model provides a foundation for understanding how financial crises can lead to economic crises.
Theoretical analysis
"Killing Two Birds with One Stone": an Optimal Carbon Tax on Income for the UK
This dissertation examines the impact of implementing an optimal income carbon tax on income inequality and carbon consumption emissions in the UK. It constructs an environmental dynamic stochastic general equilibrium (E-DSGE) model that incorporates household diversity and employs a broad formulation of a social welfare maximization problem to explore the ideal tax rate. The findings indicate a positive correlation between the optimal tax amount and society's perception of the harm caused by carbon pollution. Introducing the tax would result in reduced consumption emissions, decreased income inequality, and reduced carbon-related production damage.
Theoretical analysis